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Price changes of the Chinese yuan/US dollar rate are found to display a Sierpinski triangle in an Iterative Function System clumpiness test. This fractal structure commonly emerges in “the chaos gameâ€, where randomness coexists with deterministic rules. We show that a threshold model...
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Nontraded inputs account for the lion's share of a Big Mac price (Ong 1997, Parsley and Wei 2003). Major departures from Big Mac PPP may then be explained by the Balassa-Samuelson income differences effect, as shown e.g. by Click (1996). But it has been argued that Click''s result is not robust...
Persistent link: https://www.econbiz.de/10005416845
Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank...
Persistent link: https://www.econbiz.de/10005416916
We put forward a technique based on cluster analysis to group stocks in spot markets according to a risk-return criterion. We show how an informed investor will make money using the cluster analysis to select stocks of major companies from North and South America.
Persistent link: https://www.econbiz.de/10010629157
This paper provides estimates of the elasticities of demand for the Brazilian basic plan of local fixed telephony using a cointegration model. We find a long-run price elasticity of –0.24, and an income elasticity of 0.18. These figures are line with other countries' estimates.
Persistent link: https://www.econbiz.de/10010629191
We show that Marshall-Lerner condition holds for Brazilian trade balance, and discard a J-curve in the short run. We present these results using impulse-response functions in a variety of (linear and nonlinear) models, including Markov-switching, vector error-correction models.
Persistent link: https://www.econbiz.de/10010629359
Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank...
Persistent link: https://www.econbiz.de/10010629371